Synthesis of novel copper magnesium phosphate (Cu2Mg3(PO4)3) nanoparticles (CuMP NPs) via a facile solution combustion method has been carried out. The monoclinic crystalline structure and average crystallite size were confirmed by X-ray diffraction (XRD), while Fourier transform infrared spectroscopy (FTIR) evidenced distinct P–O–P vibrational modes, confirming phosphate bonding. The diffuse reflectance spectrum (DRS) analyzed using the Kubelka–Munk (K–M) function revealed an optical band gap energy of 3.5 eV. Scanning electron microscopy (SEM) illustrated porous and irregular nanostructures, and transmission electron microscopy (TEM) revealed nearly spherical nanoparticles with an average particle size of approximately 25 nm. X-ray photoelectron spectroscopy (XPS) confirmed the elemental composition and oxidation states of Cu2+, Mg2+, and phosphate (PO43−) species, verifying the successful formation of CuMP NPs. The synthesized CuMP NPs exhibited outstanding photocatalytic degradation efficiency (96%) for acid orange-03 (AO-03) dye under UV irradiation within 120 min, attributed to their optimal band gap and porous surface facilitating enhanced charge separation. The electrochemical performance of the CuMP-based electrode was evaluated in 1 M KCl and 1 M KOH electrolytes using cyclic voltammetry (CV), galvanostatic charge–discharge (GCD), and electrochemical impedance spectroscopy (EIS). The electrode exhibited specific capacitances of 764 and 589 F g−1 at a current density of 3 mA g−1 in KCl and KOH media, respectively, and displayed excellent cyclic stability, retaining 95.37% and 73.32% of its capacitance after 5000 cycles. Furthermore, CuMP NPs demonstrated notable electrocatalytic sensitivity for the detection of biomolecules, pharmaceutical compounds, and toxic heavy metals. These findings establish CuMP NPs as a promising multifunctional nanomaterial for photocatalytic, energy storage, and electrochemical sensing applications.